Level 1 Aggregations

Stream

OHLCV

OHLCV is an aggregated form of market data that stands for Open, High, Low, Close, and Volume

• Historical data: 72 hours on replay

• Live data: Yes

• Granularity: 1s

• Coverage: See Spot markets - centralized, Spot markets - decentralized, and Derivatives markets - centralized.

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VWAP

VWAP, or Volume Weighted Average Price, is the average price of an asset over a specific time period, weighted by the volume of trades. VWAP can be used to gauge market sentiment and momentum shifts.

• Historical data: 72 hours on replay

• Live data: Yes

• Granularity: 1-second, 1-minute, 1-hour

• Coverage: See Spot markets - centralized, Spot markets - decentralized, and Derivatives markets - centralized.

• Methodology: Proposal/Not based on an official paper, but it depicts on how we are doing. VWAP formula: ∑(Price * Volume) / ∑Volume.

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REST API

OHLCV

OHLCV is an aggregated form of market data that stands for Open, High, Low, Close, and Volume.

• Historical data: Since 2010

• Live data: Yes

• Granularity: Time periods between 1-second and 1-day

• Coverage: See Spot markets - centralized, Spot markets - decentralized, andDerivatives markets - centralized.

Go to docs

VWAP

VWAP, or Volume Weighted Average Price, is the average price of an asset over a specific time period, weighted by the volume of trades. VWAP can be used to gauge market sentiment and momentum shifts.

• Historical data: Since 2010

• Live data: Yes

• Granularity: Time periods between 1-minute and 1-day

  • Monthly-based: 1-minute, 5-minute, 10-minute, 15-minute, 30-minute

  • Yearly-based: 1-hour, 4-hour, 1-day

• Coverage: See Spot markets - centralized, Spot markets - decentralized, and Derivatives markets - centralized.

• Methodology: Proposal/Not based on an official paper, but it depicts on how we are doing. VWAP formula: ∑(Price * Volume) / ∑Volume.

Go to docs

Trade Count

Trade Count is the number of trades that occurred over a period of time.

• Historical data: 1-month rolling

• Live data: Yes

• Granularity: Time periods between 1-second and 1-day

• Coverage: See Spot markets - centralized, Spot markets - decentralized, and Derivatives markets - centralized.

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Cloud delivery

OHLCV

OHLCV is an aggregated form of market data that stands for Open, High, Low, Close, and Volume.

• Historical data: Since 2010

• Live data: No

• Granularity: Time periods between 1-second and 1-day

• Coverage: See Spot markets - centralized

Go to docs

VWAP

VWAP, or Volume Weighted Average Price, is the average price of an asset over a specific time period, weighted by the volume of trades. VWAP can be used to gauge market sentiment and momentum shifts.

• Historical data: Since 2010

• Live data: No

• Granularity: Time periods between 1-second and 1-day

• Coverage: See Spot markets - centralized

Go to docs